German Stock Market Dynamics

Rob M M J Bauer, Frederick G M C Nieuwland and Willem Verschoor

Empirical Economics, 1994, vol. 19, issue 3, 397-418

Abstract: This article estimates generalized ARCH (GARCH) models for German stock market indices returns, using weekly and monthly data, various GARCH specifications and (non)normal error densities, and a variety of diagnostic checks. German stock return series exhibit significant levels of second-order dependence. Our results clearly demonstrate that for both weekly as well as monthly return series, the Student-t distribution is superior to the standard normal distribution. In particular, the estimated GARCH-t models appear to be reasonably successful in accounting for both observed leptokurtosis and conditional heteroskedasticy from German stock return movements.

Date: 1994
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